Options are a popular investment option for many classes of investors. An option is essentially a contract giving a buyer the right, but not the obligation, to buy or sell shares of an underlying security at a specific price for a specific time. In the U.S., for example, a number of exchanges facilitate the trading of options, including the Chicago Board Options Exchange (the “CBOE”), the American Stock Exchange (the “AMEX”), the International Securities Exchange (the “ISE”) the Boston Options Exchange (the “BSE”), the New York Stock Exchange (through their Archipelago subsidiary) (the “NYSE Arca”), and the Philadelphia Stock Exchange (the “PHLX”).
In the U.S., data from all of the options exchanges are consolidated into a single data feed—the “OPRA” feed. The OPRA feed is a near real-time feed of all options quotes throughout the trading day. Each exchange may publish quotes as different aspects of orders change throughout the day. Increasingly, the exchanges have been providing a greater number of quotes (on the theory that more price points are better for investors). As competition between the exchanges increase, the exchanges have been providing a greater number of quotes (on the theory that more price points are better for investors).
Unfortunately, this has lead to a huge increase in data that is disseminated to investors. For example, over the last several years, the volume of quotes has been increasing at over 100% each year. Last year, there were about 50,000 quotes/second in peak periods during the trading day. This year, there are between 100,000 and 140,000 quotes/second during peak periods. Recently, new peak volumes have exceeded 163,000 messages per second from OPRA. OPRA also announced that they expect their message rate to hit 456,000 by mid-2007. This huge increase in data makes it difficult for traders to identify changes of interest, and also presents a problem for trading platform throughput (as many of these quotes may be associated with enhanced feed data, such as news and securities information related to each underlyer and option).